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NON‐SINGULARITY OF FISHER INFORMATION FOR AUTOREGRESSIVE MOYING‐AVERAGE PROCESSES
Author(s) -
Wang Xiaobao
Publication year - 1993
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1993.tb00163.x
Subject(s) - mathematics , fisher information , autoregressive model , autoregressive–moving average model , singularity , setar , statistics , information criteria , econometrics , star model , mathematical analysis , autoregressive integrated moving average , time series , model selection
. The average Fisher information about the parameter of a finite‐order ARMA process is non‐singular if and only if the parameter is identifiable.